Gudfit

In high-frequency trading, assets are typically traded in a limit order book on an electronic exchange. The limit order book contains buy and sell orders at different price levels. Agents execute trades by posting buy or sell limit orders at the desired price level, or by placing market orders in the order book that match the limit orders already in place. Agents may also cancel unfulfilled orders. The limit order book's dynamic evolution is complicated and non-linear due to the numerous market agents placing orders, many of whom use automated trading strategies. My research interest is to apply persistent homological analysis (and possibly generative models) to effectively capture the key characteristics and understand the complex dynamics of the limit order book. One reason I desire to employ this topological approach is that it can be useful in developing new strategies related to systematic risk detection and assessing the performance of automated trading systems...